Description Usage Arguments Details Value Author(s) References See Also Examples

Density, distribution function, quantile function, and random generation of the stationary law for the Cox-Ingersoll-Ross process.

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`x` |
vector of quantiles. |

`p` |
vector of probabilities. |

`theta` |
parameter of the Cox-Ingersoll-Ross process; see details. |

`n` |
number of random numbers to generate from the conditional distribution. |

`log, log.p` |
logical; if TRUE, probabilities |

`lower.tail` |
logical; if TRUE (default), probabilities are |

This function returns quantities related to the stationary law of the process solution of

*dX_t = (theta[1] - theta[2]*Xt)*dt + theta[3]*sqrt(X_t)*dWt.*

Constraints: *2*theta[1] > theta[3]^2*, all *theta* positive.

`x` |
a numeric vector |

Stefano Maria Iacus

Cox, J.C., Ingersoll, J.E., Ross, S.A. (1985) A theory
of the term structure of interest rates, *Econometrica*, 53, 385-408.

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sde documentation built on May 29, 2017, 10:29 p.m.

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